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A Residual-Based Threshold Method for Detection of Units that are Too Big to Fail in Large Factor Models
Kapetanios, George - 2019
The importance of units with pervasive impacts on a large number of other units in a network has become increasingly recognized in the literature. In this paper we propose a new method to detect such influential or dominant units by basing our analysis on unit-specific residual error variances...
Persistent link: https://www.econbiz.de/10012892182
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Panel Unit Root Tests in the Presence of a Multifactor Error Structure
Pesaran, M. Hashem; Smith, L. Vanessa; Yamagata, Takashi - 2021
This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a multifactor error structure. The basic idea is to exploit information regarding the unobserved factors that are shared by other time series in addition to the variable under...
Persistent link: https://www.econbiz.de/10013316613
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Macro-Financial Linkages in the High-Frequency Domain : The Effects of Uncertainty on Realized Volatility
Caporale, Guglielmo Maria - 2020
This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro …-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to … commodity markets on stock market realized volatility. Specifically, Economic Policy Uncertainty is shown to be one of the main …
Persistent link: https://www.econbiz.de/10012844423
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Have Capital Market Anomalies Worldwide Attenuated in the Recent Era of High Liquidity and Trading Activity?
Auer, Benjamin R. - 2018
We revisit and extend the study by Chordia et al. (2014) which documents that, in recent years, increased liquidity has significantly decreased exploitable returns of capital market anomalies in the US. Using a novel international dataset of arbitrage portfolio returns for four well-known...
Persistent link: https://www.econbiz.de/10012908691
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Persistence in High Frequency Financial Data
Caporale, Guglielmo Maria; Plastun, Alex - 2022
This paper investigates persistence in high-frequency, intraday data (and also daily and monthly ones) in the case of the EuroStoxx 50 futures over the period from 2002 to 2018 (720 million trade records) using R/S analysis and the Hurst exponent as a measure of persistence. The results indicate...
Persistent link: https://www.econbiz.de/10014242794
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A Probabilistic Solution to High-Dimensional Continuous-Time Macro and Finance Models
Huang, Ji - 2023
This paper introduces the probabilistic formulation of continuous-time economic models: forward stochastic differential equations (SDE) govern the dynamics of backward-looking variables, and backward SDEs capture that of forward-looking variables. Deep learning streamlines the search for the...
Persistent link: https://www.econbiz.de/10014345557
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Bitcoin Fluctuations and the Frequency of Price Overreactions
Caporale, Guglielmo Maria - 2019
This paper investigates the role of the frequency of price overreactions in the cryptocurrency market in the case of BitCoin over the period 2013-2018. Specifically, it uses a static approach to detect overreactions and then carries out hypothesis testing by means of a variety of statistical...
Persistent link: https://www.econbiz.de/10012892294
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To React or Not? Fiscal Policy, Volatility and Welfare in the EU-3
Malley, Jim - 2008
policy is purely to stabilize output or debt volatility, then our results suggest substantial reductions can be obtained …, especially with respect to output. In stark contrast, however, a formal general equilibrium welfare assessment of the volatility …
Persistent link: https://www.econbiz.de/10012773638
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Debt Shifting and Transfer Pricing in a Volatile World
Comincioli, Nicola; Panteghini, Paolo; Vergalli, Sergio - 2021
In this article we introduce a stochastic model with a multinational company (MNC) that exploits tax avoidance practices. We focus on both transfer pricing (TP) and debt shifting (DS) activities and show how their optimal level is chosen by the shareholders. In addition, we perform an extensive...
Persistent link: https://www.econbiz.de/10013251265
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Contagion Testing in Embryonic Markets Under Alternative Stressful US Market Scenarios
R. Mahadeo, Scott M. - 2020
discrete conditions of: (1) Tranquil versus turbulent volatility; (2) Bull versus bear market phases; (3) Normal periods versus …
Persistent link: https://www.econbiz.de/10012843432